买卖价差研究综述

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买卖价差构成理论研究综述

作者：作者单位：刊名：英文刊名：年，卷(期)：

王志强， 陈培昆， Wang Zhiqiang， Chen Peikun厦门大学管理学院,福建,厦门,361005证券市场导报

SECURITIES MARKET HERALD2006(6)

参考文献(36条)

1.Cohen,K;Maier,S;Schwartz,R;Whitcomb,D Transaction Costs,Order Placement Strategy,and Existence of the Bid-Ask Spread1981

2.Choi,J.Y;Salandro,D;Shastri,K On The Estimation of Bid-Ask Spreads:Theory and Evidence 19883.Brockman,P;Chung,D.Y Bid-ask spread components in an orderdriven environment 19994.Handa,P;Schwartz,R;Tiwari,A The Ecology of An OrderDriven Market 1998

5.Hamao,Y;Hasbrouck,J Securities Trading in the Absence of Dealers:Trades and Quotes in the Tokyo Stock Exchange 19956.Glosten,L;Milgrom,P Bid,ask,and Transaction Prices in A Specialist Market with Heterogeneously Informed Agents[外文期刊] 1985

7.即Z0=z0+z1Vt,Co=c0+c1Vt

8.与此相关的还有Hasb rouk(1988、1991a、1991b和1993)、Hamao和Hasbrouk(1995)的研究,他们采用VAR(向量自回归)方法来分解买卖价差

9.LSB并没有直接给出整体样本的结果,这些结果由Brockman和Chung(1999)整理而得10.指令的持续性是指在某个投资者发出买卖指令后其他的投资者也发出相同方向的买卖指令

11.为此,一些学者发展了批量交易模型.批量交易模型主要以理性预期为分析工具,主要研究知情交易者与非知情交易者的交易策略12.后来Milgrom和Stokey(1982)证明,如果不知情交易者是出于投机动机而交易的,那么他们的最好策略是放弃交易,否则他们必然遭受损失.因此,不知情交易者是出自流动性需要而进行交易

13.Stoll,H Inferring the components of the bid-ask spread:theory and empirical tests 198914.Demsetz,H The Costs of Transacting 1968

15.De Jong,F;Nijman,T;Roell,A Price effects of trading and components of the bid-ask spread on the Paris Bourse[外文期刊] 1996

16.Copeland,T;Galai,D Information Effects on The Bid-Ask Spread 198317.Bagehot,W;Treynor,J The Only Game in Town[外文期刊] 1971

18.Amihud,Y;Mendelson,H Dealership Market:Market-Making with Inventory 198019.Stoll,H The Supply of Dealer Services in Securities Markets 1978

20.Roll,R A Simple Implicit Measure of The Effective Bid-Ask Spread in An Efficient Market 198421.Ohara,M;Oldfield,G The Microeconomics of Market Making 1986

22.Madhavan,A;Richardson,M;Roomans,M Why do security prices change? A transaction-level analysis of NYSE stocks[外文期刊] 1997

23.Lin,J.C;Sanger,G;Booth,G Trade size and components of the bid-ask spread[外文期刊] 199524.Huang,R;Stoll,H.R The components of the bid-ask spread:a general approach[外文期刊] 199725.Ho,T;Stoll,H.R The Dynamics of Dealer Markets under Competition[外文期刊] 198326.Ho,T;Stoll,H.R Optimal Dealer Pricing under Transaction And Return Uncertainty 1981

27.Hasbrouck,J Assessing the Quality of A Security Market:A New Approach to Transaction CostMeasurement[外文期刊] 199328.Hasbrouck,J The Summary Informativeness of Stock Trades:An Econometric Analysis 199129.Hasbrouck,J Measuring the Information Content of Stock Trade[外文期刊] 199130.Hasbrouck,J Trades,Quotes,Inventories and Information 1988

31.Glosten,L;Harris,L Estimating the components of the bidask spread 198832.Glosten,L Is The Electronic Open Limit-Order Book Inevitable 1994

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33.George,T;Kaul,G;Nimalendran,M Estimation of the bid-ask spread and its components:a new approach 199134.Garman,M Market Microstructure 1976

35.Easley,D;O' Hara,M Price,Trade Size and Information in Securities Markets[外文期刊] 1987

36.Ahn H-J;Cai Jun;Hamao Yasushi;Ho Richard Y.K The components of the bid-sk spread in a limit-order market:evidencefrom the Tokyo Stock Exchange 2002

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